InterpolatedYoYOptionletStripper<Interpolator1D>::
ObjectiveFunction::ObjectiveFunction(
YoYInflationCapFloor::Type type,
Real slope,
Rate K,
Period &lag,
Natural fixingDays,
boost::shared_ptr<YoYInflationIndex> anIndex,
const boost::shared_ptr<YoYCapFloorTermPriceSurface> &surf,
const boost::shared_ptr<YoYInflationCapFloorEngine> &p,
Real priceToMatch)
: slope_(slope), K_(K), frequency_(anIndex->frequency()),
indexIsInterpolated_(anIndex->interpolated()),
capfloor_(MakeYoYInflationCapFloor(type,
(Size)std::floor(0.5+surf->timeFromReference(surf->minMaturity())),
surf->calendar(), anIndex, lag, K)
.withNominal(10000.0) ),
priceToMatch_(priceToMatch), surf_(surf), p_(p) {
tvec_ = std::vector<Time>(2);
vvec_ = std::vector<Volatility>(2);
dvec_ = std::vector<Date>(2);
lag_ = surf_->observationLag();
capfloor_ =
MakeYoYInflationCapFloor(type,
(Size)std::floor(0.5+surf->timeFromReference(surf->minMaturity())),
surf->calendar(), anIndex, lag, K)
.withNominal(10000.0) ;
// shortest time available from price surface
dvec_[0] = surf_->baseDate();
dvec_[1] = surf_->minMaturity() +
Period(7, Days);
tvec_[0] = surf_->dayCounter().yearFraction(surf_->referenceDate(),
dvec_[0] );
tvec_[1] = surf_->dayCounter().yearFraction(surf_->referenceDate(),
dvec_[1]);
Size n = (Size)std::floor(0.5 + surf->timeFromReference(surf_->minMaturity()));
QL_REQUIRE( n > 0,
"first maturity in price surface not > 0: "
<< n);
capfloor_.setPricingEngine(p_);
// pricer already setup just need to do the volatility surface each time
}
YoYOptionletHelper::YoYOptionletHelper(
const Handle<Quote>& price,
Real notional,
YoYInflationCapFloor::Type capFloorType,
Period &lag,
const DayCounter& yoyDayCounter,
const Calendar& paymentCalendar,
Natural fixingDays,
const ext::shared_ptr<YoYInflationIndex>& index,
Rate strike, Size n,
const ext::shared_ptr<YoYInflationCapFloorEngine> &pricer)
: BootstrapHelper<YoYOptionletVolatilitySurface>(price),
notional_(notional), capFloorType_(capFloorType), lag_(lag),
fixingDays_(fixingDays), index_(index), strike_(strike), n_(n),
yoyDayCounter_(yoyDayCounter), calendar_(paymentCalendar),
pricer_(pricer) {
// build the instrument to reprice (only need do this once)
yoyCapFloor_ = ext::make_shared<YoYInflationCapFloor>(
MakeYoYInflationCapFloor(capFloorType_, n_, calendar_,
index_, lag_, strike_)
.withNominal(notional)
.withFixingDays(fixingDays_)
.withPaymentDayCounter(yoyDayCounter_)
);
// dates already build in lag of index/instrument
// these are the dates of the values of the index
// that fix the capfloor
earliestDate_ = ext::dynamic_pointer_cast<YoYInflationCoupon>(
yoyCapFloor_->yoyLeg().front())->fixingDate();
latestDate_ = ext::dynamic_pointer_cast<YoYInflationCoupon>(
yoyCapFloor_->yoyLeg().back())->fixingDate();
// each reprice is resetting the inflation surf in the
// pricer... so set the pricer
yoyCapFloor_->setPricingEngine(pricer_);
// haven't yet set the vol (term structure = surface)
}
